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Commerzbank Retain Short Bias In ASW Sphere, Turn Neutral On 30s

BUNDS

Commerzbank note that “Bund repos remain cheap after the start of the Bundesbank's 0% regime as subdued margin-driven demand for pristine collateral seems key.”

  • “The tightening momentum in swap spreads has faded in view of risk-off, visible in the outperformance of Schatz-spreads vs. the ASW-structure.”
  • “The pressure on ultra-long swap spreads suggests that uncertainty/risk-off are insufficient to keep forward specialness (i.e. the disconnect between spot and forward Bund premiums) elevated ad infinitum.”
  • “In sum, we stay short, but turn neutral on 30y Bund spreads after our 0bp target was hit.”
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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